Related papers: Partial quasi likelihood analysis
This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form $X_t=\sigma_tZ_t$, where the unobservable volatility $\sigma_t$ is a parametric function of…
This paper is devoted to parameter estimation for partially observed polynomial state space models. This class includes discretely observed affine or more generally polynomial Markov processes. The polynomial structure allows for the…
A specific family of point processes are introduced that allow to select samples for the purpose of estimating the mean or the integral of a function of a real variable. These processes, called quasi-systematic processes, depend on a tuning…
In Quasi-Monte Carlo integration, the integration error is believed to be generally smaller than in classical Monte Carlo with the same number of integration points. Using an appropriate definition of an ensemble of quasi-randompoint sets,…
We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-maximum likelihood and the likelihood estimators are…
In this paper, starting from a generalized coherent (i.e. avoiding uniform loss) intervalvalued probability assessment on a finite family of conditional events, we construct conditional probabilities with quasi additive classes of…
Fitting regression models for intensity functions of spatial point processes is of great interest in ecological and epidemiological studies of association between spatially referenced events and geographical or environmental covariates.…
The main approach to inference for multivariate extremes consists in approximating the joint upper tail of the observations by a parametric family arising in the limit for extreme events. The latter may be expressed in terms of…
We develop a quasi-likelihood analysis procedure for a general class of multivariate marked point processes. As a by-product of the general method, we establish under stability and ergodicity conditions the local asymptotic normality of the…
An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…
We study quasi-convex optimization problems, where only a subset of the constraints can be sampled, and yet one would like a probabilistic guarantee on the obtained solution with respect to the initial (unknown) optimization problem. Even…
The paper is split in two parts: in the first part, we construct the exact likelihood for a discretely observed rough differential equation, driven by a piecewise linear path. In the second part, we use this likelihood in order to construct…
In this article, the weighted empirical likelihood is applied to a general setting of two-sample semiparametric models, which includes biased sampling models and case-control logistic regression models as special cases. For various types of…
A quasi-particle theory for monatomic gases in equilibrium is formulated and evaluated to yield the exact virial contributions to the thermodynamic state functions in lowest order of the density. Van der Waals blocking has necessarily to be…
This is basically a review of the field of Quasi-Monte Carlo intended for computational physicists and other potential users of quasi-random numbers. As such, much of the material is not new, but is presented here in a style hopefully more…
We show that the joint behaviour of an arbitrary pair of quantum observables can be described by quasi-probabilities, which are extensions of the standard probabilities used for describing the behaviour of a single observable. The physical…
We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results…
In this article, we develop a semiparametric Bayesian estimation and model selection approach for partially linear additive models in conditional quantile regression. The asymmetric Laplace distribution provides a mechanism for Bayesian…
In this paper we study asymptotic distributions associated to piecewise quasi-polynomials. The main result obtained here is used in another paper of the authors "The equivariant index of twisted Dirac operators and semi-classical limits".
We introduce the categories of quasi-measurable spaces, which are slight generalizations of the category of quasi-Borel spaces, where we now allow for general sample spaces and less restrictive random variables, spaces and maps. We show…